Sklar’s theorem allows the construction of models for dependent components using a multivariate copula together with marginal distributions. For estimation of the copula and marginal parameters, a two step procedure is often used to avoid high dimensional optimization. Here, marginal parameters are estimated first, then used to transform to unif...

Sklar’s theorem allows the construction of models for dependent components using a multivariate copula together with marginal distributions. For estimation of the copula and marginal parameters, a two step procedure is often used to avoid high dimensional optimization. Here, marginal parameters are estimated first, then used to transform to uniform margins and in a second step, the copula parameters are estimated. This procedure is not efficient. Therefore, we follow a joint estimation approach in a Bayesian framework using Markov Chain Monte Carlo (MCMC) methods. This allows also for the assessment of parameter uncertainty using credible intervals. D-Vine copulas are utilized and as marginal models we allow for autoregressive models of first order. Finally, we apply these methods to Australian electricity loads demonstrating the usefulness of this approach. Bayesian model selection is also discussed and applied using a method suggested by Congdon (2006). Keywords: multivariate copulas, vines, AR(1) margins, Bayesian inference, MCMC 1 Minimize

The current crisis is not only one of financial markets, but also of macroeconomics. Leading scholars call for a paradigm shift away from dynamic general equilibrium models, though some argue that the profession's arsenal already contains the tools and historical lessons needed to deal with such crises. Taking this view to the limit, this note d...

The current crisis is not only one of financial markets, but also of macroeconomics. Leading scholars call for a paradigm shift away from dynamic general equilibrium models, though some argue that the profession's arsenal already contains the tools and historical lessons needed to deal with such crises. Taking this view to the limit, this note demonstrates that the workhorse models of undergraduate macroeconomics not only permit a refined view and classification of financial crises. These models also identify scenarios under which either policymakers would be ill advised to follow conventional prescriptions, or full-scale depressions loom that cannot be fought by means of fiscal or monetary policy alone. ; Teaching macroeconomics, lessons, graduate, undergraduate, financial crisis, liquidity trap, risk premium Minimize

The paper shows that structural models of the IS-LM and Mundell-Fleming variety have a lot to tell about the macroeconomics of the current global crisis. In addition to demonstrating how the emergence of risk premiums in money and capital markets may drive economies into recessions, it shows the following: (1) Liquidity traps may occur not only ...

The paper shows that structural models of the IS-LM and Mundell-Fleming variety have a lot to tell about the macroeconomics of the current global crisis. In addition to demonstrating how the emergence of risk premiums in money and capital markets may drive economies into recessions, it shows the following: (1) Liquidity traps may occur not only when interest rates approach zero but at positive and/or rising rates as well; (2) Fiscal policy works even in a small, open economy under flexible exchange rates when the country is stuck in a liquidity trap; (3) Near the fringe of liquidity traps, the risk arises of perfect traps, in which neither monetary nor fiscal policy works when used in isolation, but policy coordination is called for; and (4) Massive financial crises in the domestic money market may even destabilize the economy. ; financial crisis, credit crunch, liquidity trap, zero lower bound, risk premiums, policy options, fiscal policy, monetary policy, open economy. Minimize